CME STP - TradeCaptureReportRequest - STP



/TrdCaptRptReq

Name

Abbr

Datatype

Description

Enumerations

Request ID

ReqID

String

Required identifier for the trade query or subscription request. Will be echoed back on the response. 



Trade ID

TrdID

String

Used to query for a specific Trade ID (TrdID).



Secondary Trade ID

TrdID2

String

Used to query for a specific Secondary Trade ID (TrdID2).



Request Type

ReqTyp

int

Required. The type of trade request. The first query or subscription must specify matched trades (1). Subsequent requests for a query or subscription must specify unreported trades (3).

  • 1 - Matched trades matching criteria provided on request (Parties, ExecID, TradeID, OrderID, Instrument, InputSource, etc.)

  • 3 - Unreported trades that match criteria

Subscription Request Type

SubReqTyp

char

Required. Used to differentiate between a Snapshot (0) e.g. a single query for trade state at a specific point in time, or a Snapshot + Updates (1), e.g. a subscription, which is an ongoing request for trades matching the subscription criteria.

  • 0 - Snapshot

  • 1 - Snapshot + Updates (Subscribe)

Client Order ID

ClOrdID

String

Used to query for a specific Client Order ID (ClOrdID).



Clear Date

BizDt

LocalMktDate

Limits the subscription or query to a specific clearing business date.



Multi Leg Reporting Type

MLegRptTyp

char

Required. Used to indicate if trades are to be returned for the individual legs of a multi-leg instrument (2) or for the overall instrument (3).

Multi-leg (3) subscriptions may not return all trades on Covered UDS instruments. Trades that do not include futures allocations are only available via Individual leg (2) subscription.

  • 2 - Individual leg of a multi-leg security

  • 3 - Multi-leg security

Input Source

InptSrc

String

Used to limit queries and subscriptions to a specific trade input source.

  • 'CPC' (CME ClearPort Clearing) 

  • 'CXPIT' (COMEX Trading Floor) 

  • 'GLBX' (CME Globex) 

  • 'NXPIT' (NYMEX Trading Floor) 

  • 'PCBOT' (CBOT Trading Floor and CBOT Transfers) 

  • 'FIRM'

Other values may be added without prior notice.

Start Time

StartTm

UTCTimestamp

Indicates the starting time of the subscription or query. For a subscription, the default is to start at the current time.

When entering the UTC timestamp client systems should always include the timezone offset (ex. StartTm="2024-07-24T10:35:00-05:00"). This field is required for a query.



End Time

EndTm

UTCTimestamp

Indicates the ending time of the query.



StandardHeader

Hdr



→ Sender ID

SID

String

Identifies the entity which is sending the message.



→ Target ID

TID

String

Set to CME



→ MsgSeqNum

SeqNum

SeqNum

Can be embedded within encrypted data section.



→ Sender Qualifier

SSub

String

Assigned value used to identify specific message originator (user, etc.)



→ Target Qualifier

TSub

String

Set to STP



Parties (repeating)

Pty



→ Party ID

ID

String

Used to identify the Party that is the subject of the subscription or query. Multiple Parties may be specified. Each Party ID must be in a separate Party (Pty) element.



→ Party Role

R

int

Indicates the type or role of the Party that is the subject of the subscription or query. Exactly one Party Role must be specified.

  • 7 - Trading (Entering) Firm

  • 30 - Inter Dealer Broker

  • 49 - Asset Manager

Instrument

Instrmt



→ Product Code

ID

String

Used to limit a subscription or query to a specific CME product, e.g. CL.



→ Security Type

SecTyp

String

Used to limit a subscription or query to a specific type of security.

  • FRA - Forward Rate Agreement

  • FUT - Future

  • FWD - Forward

  • IRS - Interest Rate Swap

  • MLEG - Multi Leg (Combo)

  • OPT - Option

  • SWAPTION - Swaption

→ Product Exchange

Exch

Exchange

Used to limit a subscription or query to a specific listing exchange. Required if Security ID is specified.

  • CBT - Chicago Board of Trade

  • CEE - Stock Exchange Group

  • CME - Chicago Mercantile Exchange

  • COMEX - Commodities Exchange, Inc

  • DME - Gulf Mercantile Exchange

  • IFUS - Intercontinental Exchange

  • NGXC - Natural Gas Exchange

  • NODX - Nodal

  • NYMEX - New York Mercantile Exchange

  • NYMSW - CME Swaps - NYMEX

  • VMAC - VMAC

  • XNAS - Nasdaq

  • XXXX - OTC Trades

TrdCapDtGrp (repeating)

TrdCapDt



→ Trade Date

TrdDt

LocalMktDate

Limits the subscription or query to a specific trade date. Only one date may be specified.










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